A few basic online learning algorithms
Python
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examples
forecasters
.gitignore
README.md
__init__.py

README.md

Online learning algorithms

Implements a few online algorithms in the setting of online learning with expert advice:

  • External regret minimization: exponentially-weighted average forecaster
  • Internal regret minimization: reduction to external regret minimization from Cesa-Bianchi and Lugosi (chapter 4)
  • Online calibration: via internal regret minimization
  • Online recalibration: uses online calibration method as a subroutine

See ./examples folder for details on how to run the algorithms.